Narrow search
Showing 1 - 10 of 334
Cover Image
Time-consistent investment policies in Markovian markets : a case of mean-variance analysis
Chen, Zhiping; Li, Gang; Zhao, Yonggan - In: Journal of economic dynamics & control 40 (2014), pp. 293-316
Persistent link: https://www.econbiz.de/10010424358
Cover Image
Optimal consumption/investment policies with undiversifiable income risk and liquidity constraints
Munk, Claus - In: Journal of economic dynamics & control 24 (2000) 9, pp. 1315-1343
Persistent link: https://www.econbiz.de/10001483870
Cover Image
Optimal portfolio choice for unobservable and regime-switching mean returns
Honda, Toshiki - In: Journal of economic dynamics & control 28 (2003) 1, pp. 45-78
Persistent link: https://www.econbiz.de/10001794316
Cover Image
A coupled Markov chain approach to credit risk modeling
Wozabal, David; Hochreiter, Ronald - In: Journal of economic dynamics & control 36 (2012) 3, pp. 403-415
Persistent link: https://www.econbiz.de/10009515963
Cover Image
A general method for analysis and valuation of drawdown risk
Zhang, Gongqiu; Li, Lingfei - In: Journal of economic dynamics & control 152 (2023), pp. 1-37
Persistent link: https://www.econbiz.de/10014427618
Cover Image
The xpected time to cross a threshold and its determinants : A simple and flexible framework
Zsurkis, Gabriel; Nicolau, João; Rodrigues, Paulo M. M. - In: Journal of economic dynamics & control 122 (2021), pp. 1-17
Persistent link: https://www.econbiz.de/10012666214
Cover Image
Reinforcement learning for continuous-time mean-variance portfolio selection in a regime-switching market
Wu, Bo; Li, Lingfei - In: Journal of economic dynamics & control 158 (2024), pp. 1-28
Persistent link: https://www.econbiz.de/10014532362
Cover Image
Optimal investment of variance-swaps in jump-diffusion market with regime-switching
Bo, Lijun; Tang, Dan; Wang, Yongjin - In: Journal of economic dynamics & control 83 (2017), pp. 175-197
Persistent link: https://www.econbiz.de/10011915585
Cover Image
Computation of reservation prices of options with proportional transaction costs
Damgaard, Anders - In: Journal of economic dynamics & control 30 (2006) 3, pp. 415-444
Persistent link: https://www.econbiz.de/10003289311
Cover Image
Portfolio selection auf der Grundlage symmetrischer und asymmetrischer Risikomaße
Serf, Bernd - 1995
Persistent link: https://www.econbiz.de/10000541122